Search Results (142)

This study presents a self-contained derivation and solution of the Black and Scholes partial differential equation (PDE), replacing the standard Wiener process with a smoothed Wiener process, which is a differentiable stochastic process constructed via normal kernel smoothing. By presenting a self-contained, Itô-free derivation, this study bridges the gap between heuristic financial reasoning and rigorous mathematics, bringing forth fresh insights into one of the most influential models in quantitative finance. The smoothed Wiener process does not merely simplify the technical machinery but further reaffirms the robustness of the Black and Scholes framework under alternative mathematical formulations. This approach is particularly valuable for instructors, apprentices, and practitioners who may seek a deeper understanding of derivative pricing without relying on the full machinery of stochastic calculus. The derivation underscores the universality of the Black and Scholes PDE, irrespective of the specific stochastic process adopted, under the condition that the essential properties of stochasticity, volatility, and of no arbitrage may be preserved. Full article

The main purpose of the present paper is to investigate the problem of estimating the time-varying coefficient in a stochastic parabolic equation driven by a sub-fractional Brownian motion. More precisely, we introduce a kernel-type estimator for the time-varying coefficient $\theta \left(t\right)$ in the following evolution equation:$$\left\{\begin{array}{c}{\displaystyle du(t,x)=(A_0+\theta \left(t\right)A_1)u(t,x)dt+d{\xi }^H(t,x),x\in [0,1],t\in (0,T],}\hfill \\ {\displaystyle u(0,x)=u_0\left(x\right),}\hfill \end{array}\right.$$ where ${\xi }^H(t,x)$ is a cylindrical sub-fractional Brownian motion in ${\mathbb{L}}^2\left([0,T]\times [0,1]\right)$, and $A_0+\theta \left(t\right)A_1$ is a strongly elliptic differential operator. We obtain the asymptotic mean square error and the limiting distribution of the proposed estimator. These results are proved under some standard conditions on the kernel and some mild conditions on the model. Finally, we give an application for the confidence interval construction. Full article

This study focuses on analyzing the generalized HSC-KdV equations characterized by variable coefficients and Wick-type stochastic (Wt.S) elements. To derive white noise functional (WNF) solutions, we employ the Hermite transform, the homogeneous balance principle, and the $F_e$ (F-expansion) technique. Leveraging the inherent connection between hypercomplex system (HCS) theory and white noise (WN) analysis, we establish a comprehensive framework for exploring stochastic partial differential equations (PDEs) involving non-Gaussian parameters (N-GP). As a result, exact solutions expressed through Jacobi elliptic functions (JEFs) and trigonometric and hyperbolic forms are obtained for both the variable coefficients and stochastic forms of the generalized HSC-KdV equations. An illustrative example is included to validate the theoretical findings. Full article

Analog computing has re-emerged as a powerful tool for solving complex problems in various domains due to its energy efficiency and inherent parallelism. This paper summarizes recent advancements in analog computing, exploring discrete time and continuous time methods for solving combinatorial optimization problems, solving partial differential equations and systems of linear equations, accelerating machine learning (ML) inference, multi-beam beamforming, signal processing, quantum simulation, and statistical inference. We highlight CMOS implementations that leverage switched-capacitor, switched-current, and radio-frequency circuits, as well as non-CMOS implementations that leverage non-volatile memory, wave physics, and stochastic processes. These advancements demonstrate high-speed, energy-efficient computations for computational electromagnetics, finite-difference time-domain (FDTD) solvers, artificial intelligence (AI) inference engines, wireless systems, and related applications. Theoretical foundations, experimental validations, and potential future applications in high-performance computing and signal processing are also discussed. Full article

Background: Rock–blast design is a canonical inverse problem that joins elastodynamic partial differential equations (PDEs), fracture mechanics, and stochastic heterogeneity. Objective: Guided by the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) protocol, a systematic review of mathematical methods for geomechanically informed blast modelling and optimisation is provided. Methods: A Scopus–Web of Science search (2000–2025) retrieved 2415 records; semantic filtering and expert screening reduced the corpus to 97 studies. Topic modelling with Bidirectional Encoder Representations from Transformers Topic (BERTOPIC) and bibliometrics organised them into (i) finite-element and finite–discrete element simulations, including arbitrary Lagrangian–Eulerian (ALE) formulations; (ii) geomechanics-enhanced empirical laws; and (iii) machine-learning surrogates and multi-objective optimisers. Results: High-fidelity simulations delimit blast-induced damage with ≤0.2 m mean absolute error; extensions of the Kuznetsov–Ram equation cut median-size mean absolute percentage error (MAPE) from 27% to 15%; Gaussian-process and ensemble learners reach a coefficient of determination ($R^2>0.95$) while providing closed-form uncertainty; Pareto optimisers lower peak particle velocity (PPV) by up to 48% without productivity loss. Synthesis: Four themes emerge—surrogate-assisted PDE-constrained optimisation, probabilistic domain adaptation, Bayesian model fusion for digital-twin updating, and entropy-based energy metrics. Conclusions: Persisting challenges in scalable uncertainty quantification, coupled discrete–continuous fracture solvers, and rigorous fusion of physics-informed and data-driven models position blast design as a fertile test bed for advances in applied mathematics, numerical analysis, and machine-learning theory. Full article

Alkaline carbonatite complexes are formed by magmatic, hydrothermal, and weathering geological events, which modify the minerals present in the rocks, resulting in ores with varied metallurgical behavior. To better spatially distinguish ores with distinct plant responses, creating a 3D geometallurgical block model was necessary. To establish the clusters, four different algorithms were tested: K-Means, Hierarchical Agglomerative Clustering, dual-space clustering (DSC), and clustering by autocorrelation statistics. The chosen method was DSC, which can consider the multivariate and spatial aspects of data simultaneously. To better understand each cluster’s mineralogy, an XRD analysis was conducted, shedding light on why each cluster performs differently in the plant: cluster 0 contains high magnetite content, explaining its strong magnetic yield; cluster 3 has low pyrochlore, resulting in reduced flotation yield; cluster 2 shows high pyrochlore and low gangue minerals, leading to the best overall performance; cluster 1 contains significant quartz and monazite, indicating relevance for rare earth elements. A hierarchical indicator kriging workflow incorporating a stochastic partial differential equation (SPDE) trend model was applied to spatially map these domains. This improved the deposit’s circular geometry reproduction and better represented the lithological distribution. The elaborated model allowed the identification of four geometallurgical zones with distinct mineralogical profiles and processing behaviors, leading to a more robust model for operational decision-making. Full article

We investigate a class of quadratic backward stochastic differential equations (BSDEs) with generators that are singular in y. First, we establish the existence of solutions and a comparison theorem, thereby extending the existing results in the literature. Furthermore, we analyze the stability properties, derive the Feynman–Kac formula, and prove the uniqueness of viscosity solutions for the corresponding singular semi-linear partial differential equations (PDEs). Finally, we demonstrate applications in the context of robust control linked to stochastic differential utility and the certainty equivalent based on g-expectation. In these applications, the quadratic coefficients in the generators, respectively, quantify ambiguity aversion and absolute risk aversion. Full article

This study investigates a stochastic production planning problem with regime-switching parameters, inspired by economic cycles impacting production and inventory costs. The model considers types of goods and employs a Markov chain to capture probabilistic regime transitions, coupled with a multidimensional Brownian motion representing stochastic demand dynamics. The production and inventory cost optimization problem is formulated as a quadratic cost functional, with the solution characterized by a regime-dependent system of elliptic partial differential equations (PDEs). Numerical solutions to the PDE system are computed using a monotone iteration algorithm, enabling quantitative analysis. Sensitivity analysis and model risk evaluation illustrate the effects of regime-dependent volatility, holding costs, and discount factors, revealing the conservative bias of regime-switching models when compared to static alternatives. Practical implications include optimizing production strategies under fluctuating economic conditions and exploring future extensions such as correlated Brownian dynamics, non-quadratic cost functions, and geometric inventory frameworks. In contrast to earlier studies that imposed static or overly simplified regime-switching assumptions, our work presents a fully integrated framework—combining optimal control theory, a regime-dependent system of elliptic PDEs, and comprehensive numerical and sensitivity analyses—to more accurately capture the complex stochastic dynamics of production planning and thereby deliver enhanced, actionable insights for modern manufacturing environments. Full article

We investigate the bridge problem for stochastic processes, that is, we analyze the statistical properties of trajectories constrained to begin and terminate at a fixed position within a time interval $\tau$. Our primary focus is the time-reversal symmetry of these trajectories: under which conditions do the statistical properties remain invariant under the transformation $t\to \tau -t$? To address this question, we compare the stochastic differential equation describing the bridge, derived equivalently via Doob’s transform or stochastic optimal control, with the corresponding equation for the time-reversed bridge. We aim to provide a concise overview of these well-established derivation techniques and subsequently obtain a local condition for the time-reversal asymmetry that is specifically valid for the bridge. We are specifically interested in cases in which detailed balance is not satisfied and aim to eventually quantify the bridge asymmetry and understand how to use it to derive useful information about the underlying out-of-equilibrium dynamics. To this end, we derived a necessary condition for time-reversal symmetry, expressed in terms of the current velocity of the original stochastic process and a quantity linked to detailed balance. As expected, this formulation demonstrates that the bridge is symmetric when detailed balance holds, a sufficient condition that was already known. However, it also suggests that a bridge can exhibit symmetry even when the underlying process violates detailed balance. While we did not identify a specific instance of complete symmetry under broken detailed balance, we present an example of partial symmetry. In this case, some, but not all, components of the bridge display time-reversal symmetry. This example is drawn from a minimal non-equilibrium model, namely Brownian Gyrators, that are linear stochastic processes. We examined non-equilibrium systems driven by a "mechanical” force, specifically those in which the linear drift cannot be expressed as the gradient of a potential. While Gaussian processes like Brownian Gyrators offer valuable insights, it is known that they can be overly simplistic, even in their time-reversal properties. Therefore, we transformed the model into polar coordinates, obtaining a non-Gaussian process representing the squared modulus of the original process. Despite this increased complexity and the violation of detailed balance in the full process, we demonstrate through exact calculations that the bridge of the squared modulus in the isotropic case, constrained to start and end at the origin, exhibits perfect time-reversal symmetry. Full article

In some problems, partial differential equations are reduced to ordinary differential equations. In special cases, when incorporating randomness, equations can be reduced to systems of stochastic differential Equations (SDEs). Stochastic averaging for a class of stochastic differential equations with fractional Brownian motion and non-Gaussian Lévy noise is considered. Stability criteria for systems of stochastic differential equations with fractional Brownian motion and non-Gaussian Lévy noise do not currently exist. Usually, studies on determining the sensitivity of solutions to the accuracy of setting the initial conditions are being conducted to explain the phenomenon of deterministic chaos. These studies show both convergence in mean square and convergence in probability to averaged systems of stochastic differential equations driven by fractional Brownian motion and Lévy process. The solutions to systems can be approximated by solutions to averaged stochastic differential equations by using the stochastic averaging. Full article

Modeling of impurity diffusion processes in a multiphase randomly inhomogeneous body is performed using the Feynman diagram technique. The impurity diffusion equations are formulated for each of the phases separately. Their random boundaries are subject to non-ideal contact conditions for concentration. The contact mass transfer problem is reduced to a partial differential equation describing diffusion in the body as a whole, which accounts for jump discontinuities in the searched function as well as in its derivative at the stochastic interfaces. The obtained problem is transformed into an integro-differential equation involving a random kernel, whose solution is constructed as a Neumann series. Averaging over the ensemble of phase configurations is performed. The Feynman diagram technique is developed to investigate the processes described by parabolic partial differential equations. The mass operator kernel is constructed as a sum of strongly connected diagrams. An integro-differential Dyson equation is obtained for the concentration field. In the Bourret approximation, the Dyson equation is specified for a multiphase randomly inhomogeneous medium with uniform phase distribution. The problem solution, obtained using Feynman diagrams, is compared with the solutions of diffusion problems for a homogeneous layer, one having the coefficients of the base phase and the other having the characteristics averaged over the body volume. Full article

The white-noise-driven KdV-type Boussinesq system is a class of stochastic partial differential equations (SPDEs) that describe nonlinear wave propagation under the influence of random noise—specifically white noise—and generalize features from both the Korteweg–de Vries (KdV) and Boussinesq equations. We consider a Cauchy problem for two stochastic systems based on the KdV-type Boussinesq equations. For these systems, we determine sufficient conditions to ensure that this problem is locally and globally well posed for initial data in Sobolev spaces by the linear and bilinear estimates and their modification together with the Banach fixed point. Full article

In this paper, a structure-preserving local discontinuous Galerkin (LDG) method is proposed for parabolic stochastic partial differential equations with periodic boundary conditions and multiplicative noise. It is proven that under certain conditions, this numerical method is stable in the $L^2$ sense and can preserve energy conservation. The optimal spatial error estimate in the mean square sense can reach $n+1$ if the degree of the polynomial is n. The correctness of the theoretical results is verified through numerical examples. Full article

First-exit problems are studied for two-dimensional diffusion processes with jumps according to a Poisson process. The size of the jumps is distributed as an exponential random variable. We are interested in the random variable that denotes the first time that the sum of the two components of the process leaves a given interval. The function giving the probability that the process will leave the interval on its left-hand side satisfies a partial differential–integral equation. This equation is solved analytically in particular cases by making use of the method of similarity solutions. The problem of calculating the mean and the moment-generating function of the first-passage time random variable is also considered. The results obtained have applications in various fields, notably, financial mathematics and reliability theory. Full article

This study aims to explore the effect of spatial-fractional derivatives and the multiplicative standard Wiener process on the solutions of the stochastic fractional regularized long-wave equation (SFRLWE) and contribute to its analysis. We introduce a new systematic method that combines the auxiliary function method with the complete discriminant polynomial system. This method proves to be effective in discovering precise solutions for stochastic fractional partial differential equations (SFPDEs), including special cases. Applying this method to the SFRLWE yields new exact solutions, offering fresh insights. We investigated how noise affects stochastic solutions and discovered that more intense noise can result in flatter surfaces. We note that multiplicative noise can stabilize the solution, and we show how fractional derivatives influence the dynamics of noise. We found that the noise strength and fractional derivative affect the width, amplitude, and smoothness of the obtained solutions. Additionally, we conclude that multiplicative noise impacts and stabilizes the behavior of SFRLWE solutions. Full article